Morals are arbitrary and local to a culture or a sub-culture (such as a church or an ethnic group). They are sustained by agreement and the reason you feel bad about violating a more (such as not covering yourself in church or eating the wrong food on the wrong day) is because of the broken agreement, not because you feel you've done something harmful per se. But the rationality of seeking right action and doing whatever is the greatest good is inherent in human rationality and derives from universal principles, not local ones. If you violate your own sense of ethics, you feel bad because you know you've done less than good by your own reason, whether or not others have agreed--which is a lot more painful.